From glancing over your lists, I'd say AnnabelEve is perfect with sister PenelopeClaire. Penelope and Annabel are both lengthy and beautiful and classic, also both youthful and underused. Eve is something you can both agree on and sounds gorgeous with Annabel.

Annie and Penny are also adorable, and not too close at all in my opinion. If you're still not convinced, what about nn Anna or Bella/Belle instead?

Thanks so much for all the replies! I am quite liking AnnabelEve, it's really sweet! I agree about the predictability of Olivia, I said to my husband that it feels such an obvious choice with Penelope it's almost a forgone conclusion. Which makes me dislike it a little. Charlotte is one of those names I have loved since I was a little girl, and always thought I'd call my baby that when I was older. I even had a baby doll called Charlie. I didn't think I'd marry someone whose last name didn't work with it. Hubby even suggested changing our last name so we could fit it in! But seriously, it's still on the list because I want someone to convince me it's ok, even though deep down it isn't
As for Amelie, my husband calls me Melly, and I'd likely end up nick naming the baby Millie, so too close. That's not true of Emily though, who I'd likely nick name Emme.
We both like Georgia, but I feel it doesn't work with Shey when said in an Australian accent.Penelope was so nearly Evelyn, but our friends and family had such a violent reaction to it, that it really put me off the name. I still really like the name Evie, but hubs is dead set against names that are actually just nicknames. Jack is off our boys list for that reason.
I have always loved Emma, and when I was working in NICU, we had a baby come in called Emma. We all just melted over her, because she was super cute, and we were all tired of babies with you-neek spellings. It was so lovely and simple, and suited her perfectly. Having said that I now work with 5 Emma's.
I'm a nurse, and in Australia, Eleanor is such a crumbly old lady name. Well, it is to me. To me Eleanor is an old, drooling pneumonia patient. I just can't shake that image, even though I love the nick name Ellie.Vivienne (my preferred spelling) is out because it's a close friends baby's name.
We both love Eve or Eva, but I agree, it's too short, both with our last name and next to Penelope.

Hubby just semi seriously suggested we change our surname to Winter. It sure would make this process a lot easier! Haha.